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Arrears Swap

An interest rate swap in which the floating rate is set in arrears. This means, the floating rate is determined…

Airbag Swap

An interest rate swap (pay fixed, receive floating) whose notional value adjusts according to rising interest rates by linking the…

Back Set Swap

An interest rate swap in which the floating rate is set in arrears. This means, the floating rate is determined…

Back-End Set Swap

An interest rate swap in which the floating rate is set in arrears. This means, the floating rate is determined…

Fixed-To-Floating Interest Rate Swap

A basic interest rate swap whereby a fixed rate is paid for a floating rate in the same currency. In...

COFI Swap

In the US, an interest rate swap in which the floating rate leg is referenced to the Cost of Funds…

Unmatched Swap

An interest rate swap or cross-currency swap which is not matched by an offsetting/ mirror swap or other financial asset…

Retractable Swap

An interest rate swap that grants the fixed rate payer (or also the floating rate payer) the right to terminate…

Face Value

The notional principal of a derivative contract such as a forward contract, futures contract, option, or swap. For example, the...

In-Arrears Swap

An interest rate swap in which the floating rate is set in arrears. This means, the floating rate is determined…